Numeraire-invariant option pricing and american, bermudan, trigger stream rollover (v1.6)
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References listed on IDEAS
- Leif Andersen & Jesper Andreasen, 2000. "Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing," Review of Derivatives Research, Springer, vol. 4(3), pages 231-262, October.
- Mark Joshi & Jochen Theis, 2002. "Bounding Bermudan swaptions in a swap-rate market model," Quantitative Finance, Taylor & Francis Journals, vol. 2(5), pages 370-377.
- L. C. G. Rogers, 2002. "Monte Carlo valuation of American options," Mathematical Finance, Wiley Blackwell, vol. 12(3), pages 271-286.
- Peter Carr & Helyette Geman, 2002. "The Fine Structure of Asset Returns: An Empirical Investigation," The Journal of Business, University of Chicago Press, vol. 75(2), pages 305-332, April.
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- Nicholas Andrew Yap Swee Guan, 2015. "Regression and Convex Switching System Methods for Stochastic Control Problems with Applications to Multiple-Exercise Options," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 26.
- Joshi, Mark & Tang, Robert, 2014. "Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 25-45.
- L. C. G. Rogers, 2015. "Bermudan options by simulation," Papers 1508.06117, arXiv.org, revised Jan 2016.
More about this item
KeywordsOption; Snell envelope; stooping time; martingale; Doob-Meyer Decomposition; price process;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-07-26 (All new papers)
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